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Academic & Central Bank Papers on the topic of Risk Management

amazing goddess

This Review should constitute an interesting repository for anyone out there interested in the latest ideas and the best thinking in the risk management space, as selected by me over the last three months. I would recommend each of these as an improtant contribution to the process of improving risk management in banking generally;-

see the comment box below for a reference to a genuinely seminal paper;-

A missing link in the transmission mechanism?

The Asymptotic Single-Risk-Factor (ASRF) model Specification and Calibration Errors

 

Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model

by Nikola Tarashev and Haibin Zhu,

Monetary and Economic Department,

Bank for International Settlements 

International Journal of Central Banking, June 2008

 

Estimation and decomposition of downside risk for portfolios with non-normal returns

Estimation and decomposition of downside risk

for portfolios with non-normal returns

 

by Boudt K; Peterson B; Croux C.

 

Research Center for Operations Research & Business Statistics (ORSTAT) UKL

 

 

 

The Case for Fully Integrated Models of Economic Capital

Quadrant

By Alexander McNeil, Professor, Maxwell Institute for the Mathematical Sciences, Edinburgh EH14 4AS, UK,

& Axel Kirchner, University of Edinburgh and Gavin Lee Kretzschmar, University of Edinburgh - Accounting and Finance

"NowCasting" Irish GDP (ABBU)

Now-casting Irish GDP
Antonello D'Agostino, Kieran McQuinn and Derry O'Brien

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